A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns

Descripción del Articulo

In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. Daily volatility is estimated using realised volatility and I adopted a regressio...

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Detalles Bibliográficos
Autor: Zevallos, Mauricio
Formato: artículo
Fecha de Publicación:2019
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/173816
Enlace del recurso:http://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130
https://doi.org/10.18800/economia.201902.004
Nivel de acceso:acceso abierto
Materia:High frequency data
Quantile Regression
Value-at-Risk
Volatilidad bursátil
https://purl.org/pe-repo/ocde/ford#5.02.01
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spelling Zevallos, Mauricio2020-12-17T15:19:57Z2020-12-17T15:19:57Z2019-10-29http://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130https://doi.org/10.18800/economia.201902.004In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. Daily volatility is estimated using realised volatility and I adopted a regression quantile approach to calculate one-step predicted VaR values. The results suggest that the realised volatility is a useful measure to explain the Peruvian stock market volatility and I obtained sound results using quantile regression for risk estimation.application/pdfengPontificia Universidad Católica del Perú. Fondo EditorialPEurn:issn:2304-4306urn:issn:0254-4415info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Economía; Volume 42 Issue 84 (2019)reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPHigh frequency dataQuantile RegressionValue-at-RiskVolatilidad bursátilhttps://purl.org/pe-repo/ocde/ford#5.02.01A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returnsinfo:eu-repo/semantics/articleArtículo20.500.14657/173816oai:repositorio.pucp.edu.pe:20.500.14657/1738162024-09-19 16:35:46.259http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessmetadata.onlyhttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.es_ES.fl_str_mv A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
spellingShingle A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
Zevallos, Mauricio
High frequency data
Quantile Regression
Value-at-Risk
Volatilidad bursátil
https://purl.org/pe-repo/ocde/ford#5.02.01
title_short A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_full A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_fullStr A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_full_unstemmed A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
title_sort A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
author Zevallos, Mauricio
author_facet Zevallos, Mauricio
author_role author
dc.contributor.author.fl_str_mv Zevallos, Mauricio
dc.subject.en_US.fl_str_mv High frequency data
Quantile Regression
Value-at-Risk
topic High frequency data
Quantile Regression
Value-at-Risk
Volatilidad bursátil
https://purl.org/pe-repo/ocde/ford#5.02.01
dc.subject.es_ES.fl_str_mv Volatilidad bursátil
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.01
description In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. Daily volatility is estimated using realised volatility and I adopted a regression quantile approach to calculate one-step predicted VaR values. The results suggest that the realised volatility is a useful measure to explain the Peruvian stock market volatility and I obtained sound results using quantile regression for risk estimation.
publishDate 2019
dc.date.accessioned.none.fl_str_mv 2020-12-17T15:19:57Z
dc.date.available.none.fl_str_mv 2020-12-17T15:19:57Z
dc.date.issued.fl_str_mv 2019-10-29
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv http://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130
dc.identifier.doi.none.fl_str_mv https://doi.org/10.18800/economia.201902.004
url http://revistas.pucp.edu.pe/index.php/economia/article/view/21503/21130
https://doi.org/10.18800/economia.201902.004
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:2304-4306
urn:issn:0254-4415
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.format.none.fl_str_mv application/pdf
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. Fondo Editorial
dc.publisher.country.none.fl_str_mv PE
dc.source.es_ES.fl_str_mv Economía; Volume 42 Issue 84 (2019)
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str PUCP-Institucional
collection PUCP-Institucional
repository.name.fl_str_mv Repositorio Institucional de la PUCP
repository.mail.fl_str_mv repositorio@pucp.pe
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score 13.95948
A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
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